Quantitative Analyste- Modèles à corrélation locale - Risques - La Defense, Ile de France, France
Core
Validate pricing models for exotic and vanilla derivatives by developing local correlation models that incorporate market skew to improve calibration and numerical methods.
Role type
Junior quantitative analyst (pricing model validation)
Builds
Pricing models for equity derivatives
Domain
Investment banking, derivatives, quantitative finance
Deliverable
production ML models
Required skills
Python, mathematical finance, numerical methods, model calibration, matrix algebra
Preferred skills
market finance experience, understanding of volatility skew
Technologies
Python
Responsibilities
Develop local correlation models within the pricing library, analyze the impact of market skew on calibration, ensure admissible correlation matrices, compare model greeks with production systems